Recent content by corbeste

I'm trying to work out examples based on a number of sources. I re-did some calcs, and can see the CTD is in fact the Jul-22 bond. When I calculate the implied dirty yield of that bond, it matches the quotes from the Frankfurt exchange. So can I assume the implied yield of the futures price is...

Hi, I now have the lightbulb moment that the implied forward yield of the futures contract should only track the CTD (sounds obvious in retrospect).. I was under the impression the CTD was the May 2023 contract which was throwing me off. I was assuming this due to the MTS website showing that...

Hi, I am working on a spreadsheet to back out the implied yield from the Bund price. I have my textbooks and examples, but cant seem to come up with yields that match what I see on Frankfurt Stock Exchange page for the deliverable bonds. An example is the best way to show my working, so I...

Hi Donkers, I'm having some issues with the quality of LSE data - I am not sure if the problem is IB or the exchange itself, but many trade prices are hugely out of daily range which messes with the automatic scaling found on many software packages and market profile analysis. An example is...